Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
From MaRDI portal
Publication:4895051
DOI10.2307/2171849zbMath0854.62045OpenAlexW2043967969MaRDI QIDQ4895051
Publication date: 19 January 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171849
Edgeworth expansiondependent datablock bootstrapasymptotic refinementsMonte Carlo experimentsasymptotic critical values\(t\) teststest of overidentifying restrictionsgeneralized-method-of-moments estimators
Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Asymptotic properties of parametric tests (62F05)
Related Items
Robust GMM tests for structural breaks, Maximum likelihood and the bootstrap for nonlinear dynamic models, Resampling methods in econometrics, Bootstrapping GMM estimators for time series, Bootstrap conditional distribution tests in the presence of dynamic misspecification, Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness, Inference on inequality from household survey data, Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data, The estimating function bootstrap, Predictive density and conditional confidence interval accuracy tests, Breakdown point theory for implied probability bootstrap, Bootstrap refinements for QML estimators of the GARCH(1,1) parameters, A joint serial correlation test for linear panel data models, An improved bootstrap test of stochastic dominance, The empirical saddlepoint estimator, Impulse response matching estimators for DSGE models, Consistent estimation of linear panel data models with measurement error, Bootstrap Methods for Time Series, Fixed-smoothing asymptotics for time series, A residual-based multivariate constant correlation test, Survey weighted estimating equation inference with nuisance functionals, Bootstrapping the GMM overidentification test under first-order underidentification, Robust small sample accurate inference in moment condition models, Efficient bootstrap with weakly dependent processes, The block bootstrap test of Hausman's exogeneity in the presence of serial correlation, Bootstrap bias-adjusted GMM estimators, Semiparametric inference with a functional-form empirical likelihood, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Tests for the linear hypothesis in semi-functional partial linear regression models, Estimation and inference in metabolomics with nonrandom missing data and latent factors, Estimation of a semiparametric transformation model, Bootstrap point optimal unit root tests, How well does sticky information explain the dynamics of inflation, output, and real wages?, Finite-sample corrected inference for two-step GMM in time series, An alternative bootstrap to moving blocks for time series regression models, Kolmogorov-Smirnov type test for generated variables, Efficient estimation of general dynamic models with a continuum of moment conditions, An empirical likelihood method for spatial regression, A better way to bootstrap pairs., Statistical inference in dynamic panel data models, Improving robust model selection tests for dynamic models, Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences, Robust estimation with exponentially tilted Hellinger distance, Identification of structural vector autoregressions through higher unconditional moments, Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions, Financial crashes as endogenous jumps: estimation, testing and forecasting, Accurately sized test statistics with misspecified conditional homoskedasticity, Higher-degree stochastic dominance optimality and efficiency, Bootstrap inference for misspecified moment condition models, Estimation in partially linear time-varying coefficients panel data models with fixed effects, Higher order properties of the wild bootstrap under misspecification, Moment condition tests for heavy tailed time series, Bootstrap-based tests for deterministic time-varying coefficients in regression models, Empirical likelihood block bootstrapping, Inference on functionals under first order degeneracy, Improvement in finite-sample properties of GMM-based Wald tests, Inference functions and quadratic score tests, On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification, Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models, A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias, Adjusted empirical likelihood with high-order precision, Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias, Censored median regression and profile empirical likelihood, A finite sample correction for the variance of linear efficient two-step GMM estimators, A doubly corrected robust variance estimator for linear GMM, RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS, Simple and trustworthy cluster-robust GMM inference, Point estimation with exponentially tilted empirical likelihood, Spreads versus professional forecasters as predictors of future output change, On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity, Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators, Hybrid bootstrap aided unit root testing, On Bahadur efficiency of empirical likelihood, Simple and powerful GMM over-identification tests with accurate size, Robust subsampling, A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS, Merging multiple longitudinal studies with study-specific missing covariates: A joint estimating function approach, A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS, Simulation Studies on Bootstrap Empirical Likelihood Tests, Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes, A radial basis function artificial neural network test for neglected nonlinearity, On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators, Edgeworth expansions for GEL estimators, Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models, BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS, On bootstrapping regressions with unit root processes, On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test, SECOND-ORDER REFINEMENT OF EMPIRICAL LIKELIHOOD FOR TESTING OVERIDENTIFYING RESTRICTIONS, Simplified estimation and testing in unbalanced repeated measures designs, Improved generalized method of moments estimators for weakly dependent observations, Recent developments in bootstrapping time series, Bootstrap tests: how many bootstraps?, The Block-Block Bootstrap for Time Series, LM tests of spatial dependence based on bootstrap critical values, Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics., Confidence intervals in generalized method of moments models, Generalized moment based estimation and inference, Sample selection and information-theoretic alternatives to GMM, Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence, External bootstrap tests for parameter stability., WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS, Robustness of Bootstrap in Instrumental Variable Regression, Oracle GMM estimation for misspecified models via thresholding, Oracle M‐Estimation for Time Series Models, Testing rank similarity in the local average treatment effects model, Edgeworth expansions for volatility models, A higher-order correct fast moving-average bootstrap for dependent data, F-distribution calibrated empirical likelihood ratio tests for multiple hypothesis testing, STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA, A simplified approach to computing efficiency bounds in semiparametric models, Consistent specification testing for conditional moment restrictions, On improving the robustness and reliability of Rao's score test, Size matters: covariance matrix estimation under the alternative, BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP, A life-cycle model with ambiguous survival beliefs, Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators, Bootstrap inference for instrumental variable models with many weak instruments, Discussion on: ``Bootstrap methods for dependent data: a review, Asymptotically refined score and GOF tests for inverse Gaussian models, Improved nonparametric confidence intervals in time series regressions, Resampling calibrated adjusted empirical likelihood, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, GMM inference in spatial autoregressive models, A new class of tests for overidentifying restrictions in moment condition models, Bootstrap inference for penalized GMM estimators with oracle properties, Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
